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dc.contributor.authorDana, Rose-Anne
HAL ID: 12658
dc.date.accessioned2011-01-24T09:07:28Z
dc.date.available2011-01-24T09:07:28Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5532
dc.language.isoenen
dc.subjectPareto efficiencyen
dc.subjectlaw invariant utilitiesen
dc.subjectcomonotonicityen
dc.subjectequilibria with short-selling
dc.subjectaggregation
dc.subjectrepresentative agent
dc.subject.ddc332en
dc.subject.classificationjelG1en
dc.titleComonotonicity, Efficient Risk-Sharing and Equilibria in Markets with Short-Selling for Concave Law-Invariant Utilitiesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn finite markets with short-selling, conditions on agents’ utilities insuring the existence of efficient allocations and equilibria are by now well understood. In infinite markets, a standard assumption is to assume that the individually rational utility set is compact. Its draw-back is that one does not know whether this assumption holds except for very few examples as strictly risk averse expected utility maximizers with same priors. The contribution of the paper is to show that existence holds for the class of strictly concave second order stochastic dominance preserving utilities. In our setting, it coincides with the class of strictly concave law-invariant utilities. A key tool of the analysis is the domination result of Lansberger and Meilijson that states that attention may be restricted to comonotone allocations of aggregate risk. Efficient allocations are characterized as the solutions of utility weighted problems with weights expressed in terms of the asymptotic slopes of the restrictions of agents’ utilities to constants. The class of utilities which is used is shown to be stable under aggregation.
dc.relation.isversionofjnlnameJournal of Mathematical Economics
dc.relation.isversionofjnlvol47
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages328-335
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jmateco.2010.12.016
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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